Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 17 20 18
Score 4.53 10.75 6.68
Market Cap (Millions USD) 2753.3 2729.28 2632.51
Predicted Beta 0.59 0.58 0.6
Idiosyncratic Volatility 3.48 3.48 4.44

Annualized return and volatility

RWR
Annualized Return 0.0909
Annualized Std Dev 0.2882
Annualized Sharpe (Rf=0%) 0.3153

Row

Daily Return Statistics

RWR
Observations 4690.0000
NAs 424.0000
Minimum -0.2085
Quartile 1 -0.0057
Median 0.0006
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0072
Maximum 0.1820
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0182
Skewness 0.2657
Kurtosis 21.0758

Downside Risk

RWR
Semi Deviation 0.0128
Gain Deviation 0.0148
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0168
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.7492
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0202
Modified ES (95%) -0.0202
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2013-04-04 -0.7492 1575 535 1040
2013-05-22 2013-08-19 2014-06-02 -0.1800 266 63 203
2004-04-02 2004-05-11 2004-08-24 -0.1780 101 28 73
2002-07-01 2002-10-09 2003-05-12 -0.1754 223 72 151
2016-08-02 2018-02-08 2018-08-17 -0.1679 524 390 134

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RWR
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 -0.1 0.8 0.0 0.0 0.7
2002 0.5 0.2 -0.4 0.7 0.0 -2.3 -1.6 0.0 -0.3 1.4 0.0 0.0 -1.9
2003 0.0 0.0 1.0 1.0 0.0 0.9 -0.3 0.0 0.8 0.0 1.2 0.0 4.7
2004 0.0 1.1 1.1 0.0 -0.7 -0.5 0.0 -0.3 1.7 1.2 2.4 0.0 6.0
2005 0.2 1.0 0.0 0.0 1.0 0.9 -0.1 0.7 0.0 -2.2 0.9 0.0 2.3
2006 0.5 0.7 0.0 -1.5 2.2 0.0 -0.4 -0.5 0.0 -0.7 -0.2 0.0 0.1
2007 0.4 -0.7 0.0 -0.9 0.0 0.0 1.0 0.0 1.8 -3.7 0.0 0.0 -2.1
2008 4.0 0.0 6.0 2.2 0.0 0.2 -0.1 0.0 -1.8 0.0 -20.9 0.0 -12.3
2009 0.0 0.0 -1.7 -3.5 3.1 1.2 0.0 -5.3 -4.5 0.0 1.2 0.0 -9.5
2010 2.0 1.0 0.3 0.0 -2.0 0.0 0.0 3.2 0.5 1.0 0.7 0.0 6.7
2011 0.4 -3.0 0.1 0.0 -2.8 1.9 -1.5 -1.5 0.0 -3.5 -1.2 0.0 -10.7
2012 1.0 0.6 0.0 1.2 -2.5 0.0 -0.3 0.0 -0.8 0.3 0.0 0.0 -0.6
2013 0.6 0.4 0.3 -0.7 0.0 -0.4 -0.3 0.0 1.5 0.6 0.0 0.0 1.9
2014 0.0 0.0 0.5 0.5 0.0 0.4 -0.2 0.0 0.1 0.0 -0.2 0.0 1.2
2015 0.0 0.0 -0.3 0.9 1.3 1.6 0.0 -1.9 0.5 0.0 1.4 0.0 3.5
2016 0.1 3.0 0.0 0.0 0.0 0.1 0.2 -0.2 0.0 -2.1 -1.4 0.0 -0.3
2017 -1.4 -0.4 0.0 0.7 0.5 0.0 0.5 0.4 0.0 0.6 0.2 0.0 1.2
2018 -2.1 0.4 0.0 1.0 0.5 0.0 0.6 0.0 -1.0 0.4 0.0 0.0 -0.3
2019 -0.7 -0.6 0.2 0.4 0.0 -0.2 -0.2 0.0 -1.0 0.1 0.0 0.3 -1.8

Row

Rolling Performance Chart

Snail Trail Chart